BLACKROCK MUNIHOLDINGS INVESTMENT QUALITY FUND

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-08349

Name of Fund: BlackRock MuniHoldings Investment Quality Fund (MFL)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock

MuniHoldings Investment Quality Fund, 55 East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 08/31/2017

Date of reporting period: 02/28/2017


Item 1 – Report to Stockholders


FEBRUARY 28, 2017

 

 

 

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

 

BlackRock Municipal Bond Trust (BBK)

BlackRock Municipal Income Investment Quality Trust (BAF)

BlackRock Municipal Income Quality Trust (BYM)

BlackRock Municipal Income Trust II (BLE)

BlackRock MuniHoldings Investment Quality Fund (MFL)

BlackRock MuniVest Fund, Inc. (MVF)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

 

Dear Shareholder,

Risk assets, such as stocks and high yield bonds, enjoyed strong performance in the 12 months ended February 28, 2017. It was a different story for higher-quality assets such as U.S. Treasuries, which generated muted returns after struggling in the latter part of 2016 as reflationary expectations in the United States helped drive a pick-up in global growth and investors braced for higher interest rates.

Markets showed great resilience during the period. Big surprises such as the United Kingdom’s vote to leave the European Union and the outcome of the U.S. presidential election brought spikes in equity market volatility, but they were ultimately short-lived. Instead, investors used the sell-offs to seize upon buying opportunities, allowing markets to quickly rebound. We believe this reinforces the case for taking the long view rather than reacting to short-term market noise.

The global reflationary theme — rising nominal growth, wages and inflation — was the dominant driver of asset returns during the period, outweighing significant political upheavals and uncertainty. This trend accelerated after the U.S. election and continued into the beginning of 2017, stoked by expectations for an extra boost to U.S. growth via fiscal policy.

Although economic momentum is gaining traction, the capacity for rapid global growth is restrained by structural factors including an aging population, low productivity growth and excess savings. A tempered economic growth trend and high valuations across most assets have set the stage for muted investment returns going forward.

Equity markets still have room to move, although the disparity between winners and losers is widening, making selectivity increasingly important. Fixed income investors are also facing challenges as bond markets recalibrate to accommodate rising rates and higher inflation expectations. And in a world where political risk and policy uncertainty abound, there is no lack of potential catalysts for higher volatility.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of February 28, 2017  
    6-month     12-month  

U.S. large cap equities
(S&P 500® Index)

    10.01     24.98

U.S. small cap equities
(Russell 2000® Index)

    12.61       36.11  

International equities
(MSCI Europe, Australasia,
Far East Index)

    4.90       15.75  

Emerging market equities
(MSCI Emerging Markets Index)

    5.51       29.46  

3-month Treasury bills
(BofA Merrill Lynch 3-Month
U.S. Treasury Bill Index)

    0.22       0.39  

U.S. Treasury securities
(BofA Merrill Lynch
10-Year U.S. Treasury
Index)

    (6.17     (4.09

U.S. investment grade bonds
(Bloomberg Barclays U.S.
Aggregate Bond Index)

    (2.19     1.42  

Tax-exempt municipal
bonds (S&P Municipal
Bond Index)

    (2.51     0.76  

U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer
Capped Index)

    5.43       21.83  
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.  

 

                
2    THIS PAGE NOT PART OF YOUR FUND REPORT      


Table of Contents     

 

      Page  

The Markets in Review

     2  

Semi-Annual Report:

  

Municipal Market Overview

     4  

The Benefits and Risks of Leveraging

     5  

Derivative Financial Instruments

     5  

Trust Summaries

     6  
Financial Statements:   

Schedules of Investments

     18  

Statements of Assets and Liabilities

     56  

Statements of Operations

     58  

Statements of Changes in Net Assets

     60  

Statements of Cash Flows

     62  

Financial Highlights

     64  

Notes to Financial Statements

     70  

Officers and Trustees

     81  

Additional Information

     82  

 

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    3


Municipal Market Overview     

 

For the Reporting Period Ended February 28, 2017      

Municipal Market Conditions

Municipal bonds generated modestly positive performance for the period, in spite of vastly rising interest rates as a result of generally stronger economic data, signs of inflation pressures, Federal Reserve (“Fed”) monetary policy normalization, and market expectations for pro-growth fiscal policy. However, ongoing reassurance from the Fed that rates would be increased gradually and would likely remain low overall resulted in strong demand for fixed income investments. Investors favored the income, relative yield, and stability of municipal bonds amid bouts of interest rate volatility (bond prices rise as rates fall) resulting from the United Kingdom’s decision to leave the European Union, the contentious U.S. election, and widening central bank divergence — i.e., policy easing outside the United States while the Fed slowly commences policy tightening. During the 12 months ended February 28, 2017, municipal bond funds garnered net inflows of approximately $22 billion (based on data from the Investment Company Institute).

For the same 12-month period, total new issuance remained robust from a historical perspective at $443 billion (significantly above the $393 billion issued in the prior 12-month period). A noteworthy portion of new supply during this period was attributable to refinancing activity (roughly 60%) as issuers continued to take advantage of low interest rates and a flatter yield curve to reduce their borrowing costs.

 

S&P Municipal Bond Index

Total Returns as of February 28, 2017

  6 months: (2.51)%

12 months: 0.76%

A Closer Look at Yields

 

LOGO

From February 29, 2016 to February 28, 2017, yields on AAA-rated 30-year municipal bonds increased by 25 basis points (“bps”) from 2.80% to 3.05%, while 10-year rates rose by 53 bps from 1.76% to 2.29% and 5-year rates increased 57 bps from 0.93% to 1.50% (as measured by Thomson Municipal Market Data). The municipal yield curve modestly flattened over the 12-month period with the spread between 2- and 30-year maturities flattening by 17 bps and the spread between 10- and 30-year maturities flattening by 28 bps.

 

During the same time period, on a relative basis, tax-exempt municipal bonds broadly outperformed U.S. Treasuries with the greatest outperformance experienced in the long-end of the yield curve. In absolute terms, the positive performance of municipal bonds was driven largely by a supply/demand imbalance within the municipal market as investors sought income and incremental yield in an environment where opportunities became increasingly scarce. More broadly, municipal bonds came under pressure post the November U.S. election as a result of uncertainty surrounding potential tax-reform, erasing a bulk of year-to-date performance and influencing a strong pattern of mutual fund inflows to turn negative in the closing months of the period. The asset class is known for its lower relative volatility and preservation of principal with an emphasis on income as tax rates rise.

Financial Conditions of Municipal Issuers

The majority of municipal credits remain strong, despite well-publicized distress among a few issuers. Four of the five states with the largest amount of debt outstanding—California, New York, Texas and Florida—have exhibited markedly improved credit fundamentals during the slow national recovery. However, several states with the largest unfunded pension liabilities have seen their bond prices decline noticeably and remain vulnerable to additional price deterioration. On the local level, Chicago’s credit quality downgrade is an outlier relative to other cities due to its larger pension liability and inadequate funding remedies. BlackRock maintains the view that municipal bond defaults will remain minimal and in the periphery while the overall market is fundamentally sound. We continue to advocate careful credit research and believe that a thoughtful approach to structure and security selection remains imperative amid uncertainty in a modestly improving economic environment.

The opinions expressed are those of BlackRock as of February 28, 2017, and are subject to change at any time due to changes in market or economic conditions. The comments should not be construed as a recommendation of any individual holdings or market sectors. Investing involves risk including loss of principal. Bond values fluctuate in price so the value of your investment can go down depending on market conditions. Fixed income risks include interest-rate and credit risk. Typically, when interest rates rise, there is a corresponding decline in bond values. Credit risk refers to the possibility that the bond issuer will not be able to make principal and interest payments. There may be less information on the financial condition of municipal issuers than for public corporations. The market for municipal bonds may be less liquid than for taxable bonds. Some investors may be subject to Alternative Minimum Tax (AMT). Capital gains distributions, if any, are taxable.

The Standard & Poor’s Municipal Bond Index, a broad, market value-weighted index, seeks to measure the performance of the U.S. municipal bond market. All bonds in the index are exempt from U.S. federal income taxes or subject to the alternative minimum tax. Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. It is not possible to invest directly in an index.

 

                
4    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


The Benefits and Risks of Leveraging     

 

 

The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Trusts (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Trusts’ shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV.

To illustrate these concepts, assume a Trust’s Common Shares capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit Common Shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Trusts’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or

negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Trust’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s Common Shares than if the Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trusts to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares. Moreover, to the extent the calculation of the Trusts’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment adviser will be higher than if the Trusts did not use leverage.

To obtain leverage, each Trust has issued Variable Rate Demand Preferred Shares (“VRDP Shares”) and Variable Rate Muni Term Preferred Shares (“VMTP Shares”) (collectively, “Preferred Shares”) and/or leveraged its assets through the use of tender option bond trusts (“TOB Trusts”) as described in the Notes to Financial Statements.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Trust is permitted to issue debt up to 33 1/3% of its total managed assets or equity securities (e.g., Preferred Shares) up to 50% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by the Preferred Shares’ governing instruments or by agencies rating the Preferred Shares, which may be more stringent than those imposed by the 1940 Act.

If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s obligations under the TOB Trust (including accrued interest), a TOB Trust is not considered a senior security and is not subject to the foregoing limitations and requirements under the 1940 Act.

 

 

Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the

transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    5


Trust Summary as of February 28, 2017    BlackRock Municipal Bond Trust

 

 

Trust Overview

BlackRock Municipal Bond Trust’s (BBK) (the “Trust”) investment objective is to provide current income exempt from regular U.S. federal income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from regular U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). The Trust invests, under normal market conditions, at least 80% of its managed assets in municipal bonds that are investment grade quality or, if unrated, determined to be of comparable quality by the investment adviser at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information

Symbol on New York Stock Exchange (“NYSE”)

  BBK

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of February 28, 2017 ($15.55)1

  5.79%

Tax Equivalent Yield2

  10.23%

Current Monthly Distribution per Common Share3

  $0.0750

Current Annualized Distribution per Common Share3

  $0.9000

Economic Leverage as of February 28, 20174

  38%

 

  1   

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The monthly distribution per Common Share, declared on March 1, 2017, was decreased to $0.0635 per share. The yield on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BBK1,2

    (10.01 )%      (7.82 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3 . . . . . .

    (6.50 )%      (5.12 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds lost ground in the six-month reporting period. Municipal bonds initially traded lower through September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The downturn accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. While the municipal market subsequently retraced some of its losses in the second half of the period, the modest rally was insufficient to make up for the earlier downturn.

 

 

In this environment, the Trust’s positions in longer-dated and longer-duration bonds were the largest detractors from performance. (Duration is a measure of interest rate sensitivity.) Exposure to lower-coupon and zero-coupon bonds, which experienced greater price deterioration than the market as a whole, also detracted from returns. Conversely, positions in pre-refunded issues benefited performance as their low duration and higher quality enabled them to hold up better than longer-duration bonds.

 

 

Positions in the transportation, education and utilities sectors, which were among the weaker performing sectors for the period, negatively impacted performance. The Trust’s exposure to school district bonds, which were adversely affected by their longer duration, was an additional detractor.

 

 

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive effect on returns.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
6    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock Municipal Bond Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

     $15.55        $18.22        (14.65)%        $18.55        $14.78  

Net Asset Value

     $15.64        $17.89        (12.58)%        $17.89        $15.30  

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   2/28/17     8/31/16  

Health

    23     24

County/City/Special District/School District

    19       17  

Transportation

    15       15  

Education

    14       14  

Utilities

    12       13  

State

      8         9  

Corporate

      5         5  

Tobacco

      3         2  

Housing

      1         1  

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2017

      4

2018

      6  

2019

      4  

2020

      7  

2021

    11  

 

  3   

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

Credit Quality Allocation1   2/28/17     8/31/16  

AAA/Aaa

      4       4

AA/Aa

    31       47  

A

    26       27  

BBB/Baa

    13       11  

BB/Ba

      6         5  

B

      1         1  

N/R2

    19         5  

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2017 and August 31, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% and 3%, respectively, of the Trust’s total investments.

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    7


Trust Summary as of February 28, 2017    BlackRock Municipal Income Investment Quality Trust

 

Trust Overview

BlackRock Municipal Income Investment Quality Trust’s (BAF) (the “Trust”) investment objective is to provide current income exempt from U.S. federal income tax, including the alternative minimum tax and Florida intangible property tax. The Trust seeks to achieve its investment objective by investing, under normal circumstances, at least 80% of its managed assets in municipal bonds exempt from U.S. federal income taxes, including the alternative minimum tax. The Trust also invests at least 80% of its managed assets in municipal bonds that are investment grade quality at the time of investment or, if unrated, determined to be of comparable quality by the investment adviser at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives. Due to the repeal of the Florida intangible personal property tax, in September 2008, the Board gave approval to permit the Trust the flexibility to invest in municipal obligations regardless of geographic location since municipal obligations issued by any state or municipality that provides income exempt from regular U.S. federal income tax would now satisfy the foregoing objective and policy.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information

Symbol on NYSE

  BAF

Initial Offering Date

  October 31, 2002

Yield on Closing Market Price as of February 28, 2017 ($14.50)1

  5.67%

Tax Equivalent Yield2

  10.02%

Current Monthly Distribution per Common Share3

  $0.0685

Current Annualized Distribution per Common Share3

  $0.8220

Economic Leverage as of February 28, 20174

  39%

 

  1   

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The distribution rate is not constant and is subject to change.

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BAF1,2

    (5.56 )%      (4.36 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3. . . . . .

    (6.50 )%      (5.12 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds lost ground in the six-month reporting period. Municipal bonds initially traded lower through September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The downturn accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. While the municipal market subsequently retraced some of its losses in the second half of the period, the modest rally was insufficient to make up for the earlier downturn.

 

 

The Trust continued to employ leverage, which helped augment income. However, since leverage also amplifies the effect of market movements, it was a net detractor from overall performance.

 

 

Positions in longer-dated maturities, which have higher interest rate sensitivity, generally experienced the largest price declines. The Trust’s exposure to 4% coupon bonds also detracted, as lower coupons typically underperform in a rising rate environment. Positions in high-quality, short-duration bonds such as pre-refunded securities performed relatively well compared to longer-duration positions. (Duration is a measure of interest rate sensitivity.)

 

 

From a sector allocation perspective, the Trust’s exposure to the transportation and utilities sectors were the largest detractors.

 

 

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive effect on returns.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
8    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock Municipal Income Investment Quality Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

     $14.50        $15.79        (8.17 )%     $ 16.30      $ 13.68  

Net Asset Value

     $15.40        $16.56        (7.00 )%     $ 16.56      $ 15.07  

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   2/28/17     8/31/16  

Transportation

    31     28

County/City/Special District/School District

    29       27  

Utilities

    14       17  

Health

    13       14  

State

      5         6  

Education

      5         5  

Tobacco

      1         1  

Corporate

      1         1  

Housing

      1         1  

For Trust compliance purposes, the Trust’s sector classifications refer to one or

more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Call/Maturity Schedule2       

Calendar Year Ended December 31,

 

2017

     

2018

    13

2019

    18  

2020

      3  

2021

    29  

 

  2   

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

Credit Quality Allocation1   2/28/17     8/31/16  

AAA/Aaa

      3       3

AA/Aa

    72       74  

A

    19       19  

BBB/Baa

      5         4  

N/R

      1        

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    9


Trust Summary as of February 28, 2017    BlackRock Municipal Income Quality Trust

 

 

Trust Overview

BlackRock Municipal Income Quality Trust’s (BYM) (the “Trust”) investment objective is to provide current income exempt from U.S. federal income taxes, including the alternative minimum tax. The Trust seeks to achieve its investment objective by investing, under normal circumstances, at least 80% of its managed assets in municipal bonds exempt from U.S. federal income taxes, including the U.S. federal alternative minimum tax. The Trust also invests at least 80% of its managed assets in municipal bonds that are investment grade quality at the time of investment or, if unrated, determined to be of comparable quality by the investment adviser at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information

Symbol on NYSE

  BYM

Initial Offering Date

  October 31, 2002

Yield on Closing Market Price as of February 28, 2017 ($14.04)1

  5.64%

Tax Equivalent Yield2

  9.96%

Current Monthly Distribution per Common Share3

  $0.0660

Current Annualized Distribution per Common Share3

  $0.7920

Economic Leverage as of February 28, 20174

  39%

 

  1  

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The distribution rate is not constant and is subject to change.

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BYM1,2

    (7.19 )%      (5.44 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    (6.50 )%      (5.12 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds lost ground in the six-month reporting period. Municipal bonds initially traded lower through September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The downturn accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. While the municipal market subsequently retraced some of its losses in the second half of the period, the modest rally was insufficient to make up for the earlier downturn.

 

 

Positions in longer-dated maturities, which have higher interest rate sensitivity, generally experienced the largest price declines. Conversely, the Trust’s positions in high-quality, short-dated issues performed relatively well and helped mitigate the impact of the market downturn. The Trust’s holdings in zero-coupon bonds also detracted, as their longer durations accentuated negative price performance in a rising rate environment. (Duration is a measure of interest-rate sensitivity.)

 

 

The Trust continued to employ leverage, which helped augment income. However, since leverage also amplifies the effect of market movements, it was a net detractor from overall performance.

 

 

Holdings in tax-backed (state) issues underperformed. The health care sector also lagged, reflecting the increased uncertainty surrounding the future of the Affordable Care Act following the November 2016 election.

 

 

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive effect on returns.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
10    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock Municipal Income Quality Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

     $14.04        $15.55        (9.71 )%     $ 15.79      $ 13.50  

Net Asset Value

     $14.92        $16.22        (8.01 )%     $ 16.22      $ 14.64  

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   2/28/17     8/31/16  

Transportation

    30     28

County/City/Special District/School District

    23       25  

Utilities

    12       12  

Health

    11       11  

Education

      9         7  

State

      9       11  

Tobacco

      3         3  

Corporate

      2         2  

Housing

      1         1  

For Trust compliance purposes, the Trust’s sector classifications refer to one or

more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Call/Maturity Schedule2       

Calendar Year Ended December 31,

 

2017

      8

2018

    15  

2019

      8  

2020

      8  

2021

      8  

 

  2   

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

Credit Quality Allocation1   2/28/17     8/31/16  

AAA/Aaa

    13     14

AA/Aa

    55       54  

A

    25       24  

BBB/Baa

      6         7  

N/R

      1         1  

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    11


Trust Summary as of February 28, 2017    BlackRock Municipal Income Trust II

 

 

Trust Overview

BlackRock Municipal Income Trust II’s (BLE) (the “Trust”) investment objective is to provide current income exempt from regular U.S. federal income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). The Trust invests, under normal market conditions, at least 80% of its managed assets in municipal bonds that are investment grade quality at the time of investment or, if unrated, determined to be of comparable quality by the investment adviser at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information

Symbol on NYSE MKT

   BLE

Initial Offering Date

   July 30, 2002

Yield on Closing Market Price as of February 28, 2017 ($14.86)1

   5.94%

Tax Equivalent Yield2

   10.49%

Current Monthly Distribution per Common Share3

   $0.0735

Current Annualized Distribution per Common Share3

   $0.8820

Economic Leverage as of February 28, 20174

   39%

 

  1   

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The distribution rate is not constant and is subject to change.

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BLE1,2

    (6.32 )%      (4.72 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    (6.50 )%      (5.12 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds lost ground in the six-month reporting period. Municipal bonds initially traded lower through September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The downturn accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. While the municipal market subsequently retraced some of its losses in the second half of the period, the modest rally was insufficient to make up for the earlier downturn.

 

 

The Trust continued to employ leverage, which helped augment income. However, since leverage also amplifies the effect of market movements, it was a net detractor from overall performance.

 

 

Positions in longer-dated, lower-rated investment-grade bonds in the transportation, utilities and health care sectors generally experienced the largest declines. Conversely, holdings in higher-quality, short-dated issues produced better relative performance and helped mitigate the impact of the market downturn.

 

 

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive effect on returns.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
12    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock Municipal Income Trust II

 

 

Market Price and Net Asset Value Per Share Summary

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

   $ 14.86      $ 16.34        (9.06 )%     $ 16.38      $ 13.87  

Net Asset Value

   $ 14.91      $ 16.12        (7.51 )%     $ 16.12      $ 14.59  

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   2/28/17     8/31/16  

Transportation

    23     22

Utilities

    16       17  

County/City/Special District/School District

    14       13  

Health

    12       12  

State

    10       11  

Education

    10       10  

Corporate

      7         7  

Tobacco

      7         7  

Housing

      1         1  

For Trust compliance purposes, the Trust’s sector classifications refer to one or

more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2017

    10

2018

      5  

2019

    17  

2020

    13  

2021

    15  

 

  3  

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

Credit Quality Allocation1   2/28/17     8/31/16  

AAA/Aaa

      7       7

AA/Aa

    42       43  

A

    19       20  

BBB/Baa

    18       17  

BB/Ba

      4         4  

B

      2         2  

N/R2

      8         7  

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2017 and August 31, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade represents 1% and 2%, respectively, of the Trust’s total investments.

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    13


Trust Summary as of February 28, 2017    BlackRock MuniHoldings Investment Quality Fund

 

 

Trust Overview

BlackRock MuniHoldings Investment Quality Fund’s (MFL) (the “Trust”) investment objective is to provide shareholders with current income exempt from U.S. federal income tax and to provide shareholders with the opportunity to own shares the value of which is exempt from Florida intangible personal property tax. The Trust seeks to achieve its investment objective by investing primarily in long-term, investment grade (as rated or, if unrated, determined to be of comparable quality by the investment adviser at the time of investment) municipal obligations exempt from U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). Under normal market conditions, the Trust invests at least 80% of its assets in municipal obligations with remaining maturities of one year or more at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives. Due to the repeal of the Florida intangible personal property tax, in September 2008, the Board gave approval to permit the Trust the flexibility to invest in municipal obligations regardless of geographic location since municipal obligations issued by any state or municipality that provides income exempt from regular U.S. federal income tax would now satisfy the foregoing objective and policy.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information

Symbol on NYSE

   MFL

Initial Offering Date

   September 26, 1997

Yield on Closing Market Price as of February 28, 2017 ($14.48)1

   5.93%

Tax Equivalent Yield2

   10.48%

Current Monthly Distribution per Common Share3

   $0.0715

Current Annualized Distribution per Common Share3

   $0.8580

Economic Leverage as of February 28, 20174

   42%

 

  1   

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The distribution rate is not constant and is subject to change.

 

  4   

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

MFL1,2

    (5.99 )%      (4.95 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3. . . . . .

    (6.50 )%      (5.12 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust moved to a discount to NAV during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds lost ground in the six-month reporting period. Municipal bonds initially traded lower through September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The downturn accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. While the municipal market subsequently retraced some of its losses in the second half of the period, the modest rally was insufficient to make up for the earlier downturn.

 

 

Positions in longer-dated maturities detracted from performance due to their higher degree of interest rate sensitivity. Conversely, positions in shorter-dated issues held up better in the down market.

 

 

The Trust’s holdings in higher-rated securities (those rated AA and AAA), which were more affected by rising rates due to their lower yield spreads, detracted from returns. Lower-rated investment-grade bonds performed somewhat better, as high-yield products experienced stronger demand.

 

 

The Trust continued to employ leverage, which helped augment income. However, since leverage also amplifies the effect of market movements, it was a net detractor from overall performance.

 

 

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive effect on returns.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
14    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock MuniHoldings Investment Quality Fund

 

Market Price and Net Asset Value Per Share Summary      

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

     $14.48        $15.86        (8.70)%        $16.16        $13.52  

Net Asset Value

     $14.64        $15.86        (7.69)%        $15.86        $14.32  

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   2/28/17     8/31/16  

Transportation

    39     37

Health

    16       12  

Utilities

    14       14  

County/City/Special District/School District

    12       12  

State

    12       14  

Education

      5         9  

Tobacco

      1         1  

Housing

      1         1  

Corporate1

           

 

  1   

Represents less than 1% of total investments.

For Trust compliance purposes, the Trust’s sector classifications refer to one or

more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2017

      1

2018

    10  

2019

    21  

2020

      4  

2021

    18  
  3   

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

Credit Quality Allocation2   2/28/17     8/31/16  

AAA/Aaa

      8       6

AA/Aa

    62       65  

A

    28       25  

BBB/Baa

    2         4  

 

  2   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    15


Trust Summary as of February 28, 2017    BlackRock MuniVest Fund, Inc.

 

 

Trust Overview

BlackRock MuniVest Fund, Inc.’s (MVF) (the “Trust”) investment objective is to provide shareholders with as high a level of current income exempt from U.S. federal income taxes as is consistent with its investment policies and prudent investment management. The Trust seeks to achieve its investment objective by investing at least 80% of an aggregate of the Trust’s net assets (including proceeds from the issuance of any preferred stock) and the proceeds of any borrowing for investment purposes, in municipal obligations exempt from U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). Under normal market conditions, the Trust primarily invests in long term municipal obligations rated investment grade at the time of investment (or, if unrated, are considered by the Trust’s investment adviser to be of comparable quality at the time of investment) and in long term municipal obligations with maturities of more than ten years at the time of investment. The Trust may invest up to 20% of its total assets in securities rated below investment grade or deemed equivalent at the time of purchase. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information      

Symbol on NYSE MKT

   MVF

Initial Offering Date

   September 29, 1988

Yield on Closing Market Price as of February 28, 2017 ($10.00)1

   5.94%

Tax Equivalent Yield2

   10.49%

Current Monthly Distribution per Common Share3

   $0.0495

Current Annualized Distribution per Common Share3

   $0.5940

Economic Leverage as of February 28, 20174

   39%

 

  1  

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2  

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3  

The monthly distribution per Common Share, declared on March 1, 2017, was decreased to $0.046 per share. The yield on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

  4  

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

MVF1,2

    (4.28 )%      (4.46 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    (6.50 )%      (5.12 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s premium to NAV widened during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds lost ground in the six-month reporting period. Municipal bonds initially traded lower through September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The downturn accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. While the municipal market subsequently retraced some of its losses in the second half of the period, the modest rally was insufficient to make up for the earlier downturn.

 

 

At the sector level, hospital and transportation issues represented the largest detractors from Trust performance due to their higher weightings in the portfolio. Lower-rated bonds also underperformed, as investors responded to market weakness by gravitating to higher-quality issues. Reinvestment was a further drag on results, since the proceeds of higher-yielding bonds that matured or were called needed to be reinvested at materially lower prevailing rates. Positions in zero-coupon bonds, which have longer durations relative to standard coupon bonds, also lagged.

 

 

The Trust continued to employ leverage, which helped augment income. However, since leverage also amplifies the effect of market movements, it was a net detractor from overall performance.

 

 

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive effect on returns. Positions in pre-refunded issues also benefited performance as their low duration (interest rate sensitivity) enabled them to hold up better than longer-duration bonds at a time of rising yields.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
16    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock MuniVest Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary                              

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

   $ 10.00      $ 10.77        (7.15 )%     $ 10.95      $ 9.51  

Net Asset Value

   $ 9.62      $ 10.38        (7.32 )%     $ 10.38      $ 9.48  

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   2/28/17     8/31/16  

Health

    24     26

Transportation

    23       24  

County/City/Special District/School District

    12       10  

Education

    10       10  

Corporate

      9         9  

State

      7         7  

Utilities

      6         6  

Housing

      4         4  

Tobacco

      5         4  

For Trust compliance purposes, the Trust’s sector classifications refer to one or

more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2017

    11

2018

    14  

2019

    19  

2020

    15  

2021

      5  

 

  3   

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

Credit Quality Allocation1   2/28/17     8/31/16  

AAA/Aaa

      9       9

AA/Aa

    43       40  

A

    19       23  

BBB/Baa

    14       14  

BB/Ba

      4         3  

B

      1         2  

N/R2

    10         9  

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings

 

  2   

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2017 and August 31, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade each represents 2% of the Trust’s total investments.

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    17


Schedule of Investments February 28, 2017 (Unaudited)

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Arizona — 9.4%

    

Arizona Health Facilities Authority, Refunding RB, Phoenix Children’s Hospital, Series A, 5.00%, 2/01/42

   $ 2,200     $ 2,316,490  

City of Phoenix Arizona IDA, Refunding RB, Basis Schools, Inc. Projects, 5.00%, 7/01/45 (a)

     460       455,837  

County of Maricopa Arizona IDA, Refunding RB, Banner Health Obligation Group, Series A:

    

3.25%, 1/01/37

     1,805       1,701,194  

4.00%, 1/01/38

     1,250       1,259,063  

County of Pinal Arizona Electric District No.3, Refunding RB:

    

4.75%, 7/01/21 (b)

     680       775,928  

4.75%, 7/01/31

     3,070       3,354,435  

Salt Verde Financial Corp., RB, Senior:

    

5.00%, 12/01/32

     1,500       1,696,590  

5.00%, 12/01/37

     2,065       2,347,926  

University Medical Center Corp., RB, 6.50%, 7/01/19 (b)

     500       561,865  

University Medical Center Corp., Refunding RB, 6.00%, 7/01/21 (b)

     900       1,072,107  
    

 

 

 
               15,541,435  

Arkansas — 3.4%

    

City of Benton Arkansas, RB, 4.00%, 6/01/39

     905       922,105  

City of Fort Smith Arkansas Water & Sewer Revenue, Refunding RB, 4.00%, 10/01/40

     840       858,379  

City of Hot Springs Arkansas, RB, Wastewater, 5.00%, 12/01/38

     1,200       1,322,616  

City of Little Rock Arkansas, RB, 4.00%, 7/01/41

     2,025       2,061,045  

County of Pulaski Arkansas Public Facilities Board, RB, 5.00%, 12/01/42

     465       510,021  
    

 

 

 
               5,674,166  

California — 21.7%

    

California Health Facilities Financing Authority, RB, Sutter Health:

    

Series A, 3.25%, 11/15/36

     420       393,700  

Series B, 5.88%, 8/15/31

     1,900       2,167,102  

California Health Facilities Financing Authority, Refunding RB, Adventist Health System West, Series A, 3.00%, 3/01/39

     710       586,609  

California HFA, RB, Home Mortgage, Series G, AMT, 5.05%, 2/01/29

     2,285       2,287,605  

California Infrastructure & Economic Development Bank, Refunding RB, 4.00%, 11/01/45

     1,550       1,565,330  

California Statewide Communities Development Authority, RB, Loma Linda University Medical Center, Series A, 5.25%, 12/01/56 (a)

     225       236,428  

Carlsbad California Unified School District, GO, Election of 2006, Series B, 0.00%, 5/01/34 (c)

     1,000       1,060,480  

City of San Jose California, Refunding ARB, Series A-1, AMT, 5.75%, 3/01/34

     2,000       2,267,320  

Hartnell Community College District California, GO, CAB, Election of 2002, Series D, 0.00%, 8/01/34 (c)

     1,650       1,608,932  
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

    

Norwalk-La Mirada Unified School District, GO, Refunding, CAB, Election of 2002, Series E (AGC), 0.00%, 8/01/38 (d)

   $ 8,000     $ 3,032,080  

Palomar Community College District, GO, CAB, Election of 2006, Series B:

    

0.00%, 8/01/30 (d)

     1,500       922,800  

0.00%, 8/01/33 (d)

     4,000       1,595,800  

0.00%, 8/01/39 (c)

     2,605       2,227,431  

San Diego Community College District, GO, CAB, Election of 2002, 0.00%, 8/01/33 (c)

     2,800       3,141,488  

State of California, GO, Refunding, Various Purposes:

    

5.00%, 2/01/38

     3,000       3,351,030  

4.00%, 10/01/44

     1,080       1,102,680  

State of California, GO, Various Purposes:

    

5.75%, 4/01/31

     2,000       2,186,320  

6.00%, 3/01/33

     1,000       1,132,950  

6.50%, 4/01/33

     1,950       2,170,798  

5.50%, 3/01/40

     2,350       2,613,270  
    

 

 

 
               35,650,153  

Colorado — 0.7%

    

Colorado Health Facilities Authority, RB, Catholic Health Initiatives, Series D, 6.25%, 10/01/33

     1,070       1,142,610  

Connecticut — 1.1%

    

Connecticut State Health & Educational Facility Authority, Refunding RB, Lawrence & Memorial Hospital, Series F, 5.00%, 7/01/36

     550       586,591  

South Central Connecticut Regional Water Authority, Refunding RB, Thirty Second, Series B, 4.00%, 8/01/36

     1,235       1,269,185  
    

 

 

 
               1,855,776  

Delaware — 2.8%

    

County of Sussex Delaware, RB, NRG Energy, Inc., Indian River Power LLC Project, 6.00%, 10/01/40

     1,200       1,289,856  

Delaware Transportation Authority, RB:

    

5.00%, 6/01/45

     2,000       2,234,720  

5.00%, 6/01/55

     950       1,032,203  
    

 

 

 
               4,556,779  

Florida — 3.8%

    

Capital Trust Agency Inc., RB, M/F Housing, The Gardens Apartment Project, Series A, 4.75%, 7/01/40

     600       600,786  

County of Miami-Dade Florida, RB, AMT, Seaport Department, Series B, 6.00%, 10/01/31

     4,135       4,877,232  

County of Orange Florida Health Facilities Authority, Refunding RB, Mayflower Retirement Center, 5.00%, 6/01/36

     125       130,390  

Stevens Plantation Community Development District, RB, Special Assessment, Series A, 7.10%, 5/01/35 (e)(f)

     860       601,596  
    

 

 

 
               6,210,004  
 
Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.      COP    Certificates of Participation    IDB    Industrial Development Board
AGM    Assured Guaranty Municipal Corp.      EDA    Economic Development Authority    ISD    Independent School District
AMBAC    American Municipal Bond Assurance Corp.      EDC    Economic Development Corp.    LRB    Lease Revenue Bonds
AMT    Alternative Minimum Tax (subject to)      ERB    Education Revenue Bonds    M/F    Multi-Family
ARB    Airport Revenue Bonds      GARB    General Airport Revenue Bonds    NPFGC    National Public Finance Guarantee Corp.
BAM    Build America Mutual Assurance Co.      GO    General Obligation Bonds    PILOT    Payment in Lieu of Taxes
BARB    Building Aid Revenue Bonds      HFA    Housing Finance Agency    PSF-GTD    Permanent School Fund Guaranteed
BHAC    Berkshire Hathaway Assurance Corp.      HRB    Housing Revenue Bonds    RB    Revenue Bonds
CAB    Capital Appreciation Bonds      IDA    Industrial Development Authority    S/F    Single-Family

 

See Notes to Financial Statements.

 

                
18    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

    Value  

Hawaii — 0.3%

    

Hawaii State Department of Budget & Finance, Refunding RB, Special Purpose, Senior Living, Kahala Nui, 5.25%, 11/15/37

   $ 400     $ 423,824  

Idaho — 0.3%

    

Idaho Health Facilities Authority, RB, St. Lukes Health System Project, Series A, 5.00%, 3/01/39

     500       536,610  

Illinois — 4.1%

    

City of Chicago Illinois, Refunding ARB, O’Hare International Airport Passenger Facility Charge, Series B, AMT, 4.00%, 1/01/29

     1,600       1,628,144  

City of Chicago Illinois Midway International Airport, Refunding GARB, 2nd Lien, Series A, 5.00%, 1/01/41

     870       922,644  

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts, 5.25%, 12/01/40

     665       709,256  

Illinois Finance Authority, Refunding RB:

    

OSF Healthcare System, 6.00%, 5/15/39

     360       395,967  

Roosevelt University Project, 6.50%, 4/01/44

     1,000       1,043,140  

Railsplitter Tobacco Settlement Authority, RB, 6.00%, 6/01/28

     1,150       1,306,848  

State of Illinois, GO, 5.00%, 2/01/39

     665       663,218  
    

 

 

 
               6,669,217  

Iowa — 0.3%

    

Iowa Higher Education Loan Authority, RB, Private College Facility, Grinnell College Project, 4.00%, 12/01/36

     425       444,571  

Kansas — 3.3%

    

County of Johnson Kansas Unified School District No. 512 Shawnee Mission, GO, Refunding, Series B, 3.00%, 10/01/37

     1,210       1,076,380  

County of Seward Kansas Unified School District No. 480 Liberal, GO, Refunding, 5.00%, 9/01/39

     4,000       4,436,611  
    

 

 

 
               5,512,991  

Kentucky — 2.9%

    

County of Louisville & Jefferson Kentucky Metropolitan Government, Refunding RB, Norton Healthcare, Inc., 4.00%, 10/01/35

     930       921,537  

Kentucky Bond Development Corp., Refunding RB, Saint Elizabeth Medical Center, Inc., 4.00%, 5/01/35

     550       559,713  

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.38%, 1/01/40

     1,830       1,916,120  

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C (c):

    

0.00%, 7/01/34

     500       415,510  

0.00%, 7/01/39

     830       675,354  

0.00%, 7/01/43

     270       220,123  
    

 

 

 
               4,708,357  

Louisiana — 1.6%

    

City of Alexandria Louisiana Utilities, RB, 5.00%, 5/01/39

     860       940,040  

Louisiana Local Government Environmental Facilities & Community Development Authority, RB, Westlake Chemical Corp. Project, Series A-1, 6.50%, 11/01/35

     1,050       1,198,334  

Louisiana Public Facilities Authority, RB, Belle Chasse Educational Foundation Project, 6.50%, 5/01/31

     400       441,144  
    

 

 

 
               2,579,518  
Municipal Bonds   

Par  

(000)

    Value  

Maryland — 0.9%

    

County of Anne Arundel Maryland Consolidated, RB, Special Taxing District, Villages at Two Rivers Project:

    

5.13%, 7/01/36

   $ 170     $ 168,915  

5.25%, 7/01/44

     170       168,113  

County of Montgomery Maryland, RB, Trinity Health Credit Group, 5.00%, 12/01/45

     1,000       1,107,680  
    

 

 

 
               1,444,708  

Massachusetts — 3.8%

    

Massachusetts Development Finance Agency, RB:

    

Dana-Farber Cancer Institute Issue, Series N, 5.00%, 12/01/46

     390       430,182  

Emerson College Issue, Series A, 5.25%, 1/01/42

     565       622,444  

Emerson College Issue, Series A, 5.00%, 1/01/47

     630       676,563  

Massachusetts Development Finance Agency, Refunding RB:

    

Boston College Issue, Series T, 3.63%, 7/01/39

     310       306,010  

Boston College Issue, Series T, 4.00%, 7/01/42

     1,790       1,824,923  

Emmanuel College Issue, Series A, 4.00%, 10/01/46

     865       805,315  

International Charter School, 5.00%, 4/15/40

     400       417,904  

WGBH Educational Foundation Issue, 3.00%, 1/01/42

     1,415       1,186,746  
    

 

 

 
               6,270,087  

Michigan — 2.4%

    

Michigan Finance Authority, RB, Detroit Water & Sewage Disposal System, Senior Lien, Series 2014 C-2, AMT, 5.00%, 7/01/44

     240       251,547  

Michigan Finance Authority, Refunding RB, Henry Ford Health System, 4.00%, 11/15/46

     1,540       1,492,999  

Michigan State Hospital Finance Authority, Refunding RB, Trinity Health Credit Group, Series C, 4.00%, 12/01/32

     2,100       2,144,877  

State of Michigan Building Authority, Refunding RB, Facilities Program, Series I, 6.25%, 10/15/38

     40       43,056  
    

 

 

 
               3,932,479  

Minnesota — 4.6%

    

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series B (AGC), 6.50%, 11/15/38

     3,890       4,197,232  

City of St. Cloud Minnesota, Refunding RB, CentraCare Health System, Series A, 3.25%, 5/01/39

     435       396,903  

Minneapolis-St. Paul Metropolitan Airports Commission, Refunding ARB, Sub Series D, AMT, 5.00%, 1/01/41

     290       318,588  

Minnesota Higher Education Facilities Authority, RB:

    

Augsburg College, Series B, 4.25%, 5/01/40

     1,185       1,185,214  

College of St. Benedict, Series 8-K, 5.00%, 3/01/37

     660       718,885  

College of St. Benedict, Series 8-K, 4.00%, 3/01/43

     385       384,380  

Minnesota Higher Education Facilities Authority, Refunding RB, University of St. Thomas, Series 8-L, 4.00%, 4/01/39

     380       388,132  
    

 

 

 
               7,589,334  

Mississippi — 2.0%

    

County of Warren Mississippi, RB, Gulf Opportunity Zone Bonds, International Paper Co. Project, Series A, 5.38%, 12/01/35

     400       439,636  

Mississippi Development Bank, RB, Special Obligation:

    

CAB, Hinds Community College District (AGM), 5.00%, 4/01/36

     845       907,910  

County of Jackson Limited Tax Note (AGC), 5.50%, 7/01/32

     1,750       1,890,665  
    

 

 

 
               3,238,211  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    19


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

    Value  

Missouri — 3.2%

    

Missouri Development Finance Board, RB, Annual Appropriation Sewer System, Series B, 5.00%, 11/01/41

   $ 900     $ 955,314  

Missouri State Health & Educational Facilities Authority, RB:

    

A.T. Still University of Health Sciences, 5.25%, 10/01/31

     500       556,130  

A.T. Still University of Health Sciences, 4.25%, 10/01/32

     320       334,010  

A.T. Still University of Health Sciences, 5.00%, 10/01/39

     500       548,420  

Heartland Regional Medical Center, 4.13%, 2/15/43

     300       306,480  

University of Central Missouri, Series C-2, 5.00%, 10/01/34

     1,000       1,105,550  

Missouri State Health & Educational Facilities Authority, Refunding RB, Kansas City University of Medicine and Biosciences, Series A:

    

5.00%, 6/01/42

     540       595,560  

5.00%, 6/01/47

     770       845,699  
    

 

 

 
               5,247,163  

Montana — 0.7%

    

County of Cascade Montana High School District A Great Falls, GO:

    

4.00%, 7/01/34

     570       602,650  

4.00%, 7/01/35

     550       579,040  
    

 

 

 
               1,181,690  

Nebraska — 4.7%

    

Central Plains Energy Project Nebraska, RB, Gas Project No. 3, 5.00%, 9/01/42

     600       634,866  

County of Douglas Nebraska Hospital Authority No. 3, Refunding RB, Health Facilities Nebraska Methodist Health System, 5.00%, 11/01/45

     400       429,356  

County of Sarpy Nebraska Hospital Authority No. 1, Refunding RB, Nebraska Medicine:

    

3.00%, 5/15/46

     1,925       1,580,540  

4.00%, 5/15/51

     975       976,443  

Gretna Public Schools, GO, Refunding, School Building, 3.00%, 12/15/39

     920       782,718  

Lincoln Airport Authority, Refunding RB, Series A, 4.00%, 7/01/40

     520       530,338  

Nebraska Public Power District, Refunding RB, Series A:

    

5.00%, 1/01/32

     250       277,002  

4.00%, 1/01/44

     400       404,196  

Public Power Generation Agency, Refunding RB:

    

3.13%, 1/01/35

     1,155       1,020,027  

3.25%, 1/01/36

     1,295       1,151,514  
    

 

 

 
               7,787,000  

Nevada — 1.3%

    

City of Las Vegas Nevada, RB, Special Assessment, No. 809 Summerlin Area, 5.65%, 6/01/23

     1,050       1,024,285  

County of Clark Nevada, Refunding ARB, Department of Aviation, Subordinate Lien, Series A-2, 4.25%, 7/01/36

     1,000       1,036,990  
    

 

 

 
               2,061,275  

New Hampshire — 0.2%

    

New Hampshire Health and Education Facilities Authority Act, Refunding RB, Southern New Hampshire Medical Center, 3.50%, 10/01/34

     285       270,927  

New Jersey — 12.3%

    

County of Atlantic New Jersey Improvement Authority, RB, Stockton University Atlantic City, Series A (AGM), 4.00%, 7/01/46

     850       855,244  
Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

    

County of Middlesex New Jersey Improvement Authority, RB, Heldrich Center Hotel, Sub-Series B, 6.25%, 1/01/37 (e)(f)

   $ 915     $ 35,767  

New Jersey EDA, RB, AMT:

    

Continental Airlines, Inc. Project, Series B, 5.63%, 11/15/30

     660       717,182  

Goethals Bridge Replacement Project (AGM), 5.13%, 7/01/42

     200       217,392  

New Jersey EDA, Refunding RB, Special Assessment, Kapkowski Road Landfill Project, 6.50%, 4/01/28

     7,500       8,663,175  

New Jersey Educational Facilities Authority, Refunding RB, College of New Jersey, 3.50%, 7/01/31

     900       891,549  

New Jersey Health Care Facilities Financing Authority, Refunding RB, Series A:

    

RWJ Barnabas Health Obligated Group, 4.00%, 7/01/43

     1,945       1,947,937  

St. Barnabas Health Care System, 4.63%, 7/01/21 (b)

     510       578,116  

St. Barnabas Health Care System, 5.63%, 7/01/21 (b)

     1,700       1,998,350  

St. Barnabas Health Care System, 5.00%, 7/01/25

     500       558,420  

New Jersey Housing & Mortgage Finance Agency, RB, S/F Housing, Series AA, 6.50%, 10/01/38

     45       46,376  

New Jersey State Turnpike Authority, RB, Series E, 5.00%, 1/01/45

     1,860       2,065,958  

New Jersey Transportation Trust Fund Authority, RB:

    

CAB, Transportation System, Series A, 0.00%, 12/15/35 (d)

     1,000       372,030  

Transportation Program, Series AA, 5.00%, 6/15/45

     900       899,937  

Transportation Program, Series AA, 5.00%, 6/15/46

     400       399,360  
    

 

 

 
               20,246,793  

New Mexico — 1.1%

    

New Mexico Finance Authority, RB, Senior Lien Public Project Revolving Fund ,Series A (g):

    

3.25%, 6/01/33

     545       534,214  

3.25%, 6/01/34

     840       817,463  

New Mexico Hospital Equipment Loan Council, Refunding RB, Presbyterian Healthcare Services, 5.00%, 8/01/44

     450       498,524  
    

 

 

 
               1,850,201  

New York — 7.5%

    

City of New York New York, GO, Fiscal 2014, Sub-Series A-1, 5.00%, 8/01/35

     940       1,052,010  

City of New York New York Industrial Development Agency, RB, PILOT, Queens Baseball Stadium (AMBAC), 5.00%, 1/01/39

     925       927,072  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, Series A, 4.75%, 6/15/30

     2,435       2,460,787  

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (a)

     900       934,668  

Counties of New York Tobacco Trust VI, Refunding RB, Tobacco Settlement Pass-Through, 4.00%, 6/01/51

     500       459,620  

County of Nassau New York, GO, Series A, 5.00%, 1/15/30

     750       875,962  

Erie Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, Series A, 5.00%, 6/01/45

     1,160       1,115,294  

Metropolitan Transportation Authority Hudson Rail Yards Trust Obligations, Refunding RB, Series A, 5.00%, 11/15/56

     850       915,118  
 

 

See Notes to Financial Statements.

 

                
20    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

    

New York City Water & Sewer System, Refunding RB, Series A, 4.75%, 6/15/17 (b)(g)

   $ 565     $ 571,944  

New York Liberty Development Corp., Refunding RB:

    

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 7/15/49

     800       871,056  

3 World Trade Center Project, Class 2, 5.38%, 11/15/40 (a)

     405       439,636  

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT, 5.00%, 8/01/31

     1,295       1,348,069  

Niagara Area Development Corp., Refunding RB, Solid Waste Disposal Facility, Covanta Energy Project, Series A, AMT, 5.25%, 11/01/42 (a)

     400       402,556  
    

 

 

 
               12,373,792  

North Carolina — 0.3%

    

City of Raleigh North Carolina Combined Enterprise System Revenue, Refunding RB, Series B, 3.00%, 3/01/37

     550       512,903  

North Dakota — 0.5%

    

City of Fargo North Dakota, GO, Series D, 4.00%, 5/01/37

     225       231,156  

County of Burleigh North Dakota, Refunding RB, St. Alexius Medical Center Project, Series A, 5.00%, 7/01/21 (b)

     480       550,349  
    

 

 

 
               781,505  

Ohio — 1.2%

    

City of Dayton Ohio Airport Revenue, Refunding ARB, James M Cox Dayton International Airport, AMT, 4.00%, 12/01/32

     2,000       2,030,260  

Oklahoma — 3.0%

    

Norman Oklahoma Regional Hospital Authority, Refunding RB, 4.00%, 9/01/37

     1,855       1,847,283  

Oklahoma City Public Property Authority, Refunding RB, 5.00%, 10/01/39

     720       791,107  

Oklahoma Development Finance Authority, RB, State System of Higher Education Master Real Property, Series F, 4.00%, 6/01/36

     670       686,663  

Oklahoma Municipal Power Authority, RB, Power Supply System, Series A, 4.00%, 1/01/38

     620       629,344  

Oklahoma Water Resources Board, RB, Clean Water Program, 4.00%, 4/01/40

     990       1,027,422  
    

 

 

 
               4,981,819  

Oregon — 3.6%

    

County of Lane Oregon School District No. 19 Springfield, GO, CAB, Series B, 0.00%, 6/15/40 (d)

     1,000       384,660  

Klamath Falls Intercommunity Hospital Authority, Refunding RB, Sky Lakes Medical Center Project:

    

3.00%, 9/01/35

     705       619,342  

3.00%, 9/01/41

     350       292,744  

Oregon Health & Science University, RB, Series A, 4.00%, 7/01/37

     675       694,001  

Oregon Health & Science University, Refunding RB, Series B, 4.00%, 7/01/46

     575       579,439  

State of Oregon Facilities Authority, Refunding RB, Legacy Health Project, Series A, 4.00%, 6/01/41

     1,630       1,648,810  

State of Oregon State Facilities Authority, Refunding RB, University of Portland Project, Series A, 5.00%, 4/01/45

     1,475       1,634,079  
    

 

 

 
               5,853,075  

Pennsylvania — 4.5%

    

County of Allegheny Pennsylvania IDA, Refunding RB, U.S. Steel Corp. Project, 6.55%, 12/01/27

     1,695       1,638,031  
Municipal Bonds   

Par  

(000)

    Value  

Pennsylvania (continued)

    

Delaware River Port Authority, RB:

    

4.50%, 1/01/32

   $ 1,500     $ 1,622,745  

Series D (AGM), 5.00%, 1/01/40

     2,600       2,828,670  

Pottsville Hospital Authority, Refunding RB, Lehigh Valley Health Network, Series B, 5.00%, 7/01/45

     1,250       1,351,863  
    

 

 

 
               7,441,309  

Puerto Rico — 0.9%

    

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds:

    

5.50%, 5/15/39

     940       943,572  

5.63%, 5/15/43

     515       515,669  
    

 

 

 
               1,459,241  

Rhode Island — 4.7%

    

Rhode Island Commerce Corp., RB, Airport Corporation:

    

5.00%, 7/01/41

     270       296,600  

5.00%, 7/01/46

     335       366,624  

Rhode Island Health & Educational Building Corp., Refunding RB, University of Rhode Island, Series B, 4.00%, 9/15/34

     660       679,543  

Rhode Island Turnpike & Bridge Authority, Refunding RB, Series A, 5.00%, 10/01/40

     1,540       1,721,058  

State of Rhode Island, COP, School for the Deaf Project, Series C (AGC), 5.38%, 4/01/28

     900       963,540  

Tobacco Settlement Financing Corp., Refunding RB:

    

Series A, 5.00%, 6/01/40

     1,000       1,043,920  

Series B, 4.50%, 6/01/45

     2,730       2,628,389  
    

 

 

 
               7,699,674  

South Dakota — 1.0%

    

Dakota Valley School District No. 61-8, GO, Refunding, 3.00%, 7/15/39

     1,920       1,662,490  

Tennessee — 4.2%

    

Chattanooga Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/40

     1,950       2,023,262  

County of Chattanooga-Hamilton Tennessee Hospital Authority, Refunding RB, 5.00%, 10/01/44

     875       914,856  

County of Knox Tennessee Health Educational & Housing Facility Board, RB, University Health System, Inc., 4.00%, 9/01/40

     2,040       2,006,381  

County of Memphis-Shelby Tennessee Sports Authority, Inc., Refunding RB, Memphis Arena Project, Series A, 5.38%, 11/01/28

     275       302,324  

Johnson City Health & Educational Facilities Board, RB, Mountain States Health, Series A, 5.00%, 8/15/42

     800       846,144  

Metropolitan Government of Nashville & Davidson County Health & Educational Facilities Board, RB, Vanderbilt University Medical Center, Series A, 5.00%, 7/01/40

     675       744,302  

Metropolitan Government of Nashville & Davidson County Health & Educational Facilities Board, Refunding RB, Lipscomb University Project, Series A, 5.00%, 10/01/45

     135       146,221  
    

 

 

 
               6,983,490  

Texas — 8.6%

    

County of Harris Texas Houston Sports Authority, Refunding RB, CAB, Senior Lien, Series G (NPFGC), 0.00%, 11/15/41 (d)

     11,690       3,313,647  

County of Matagorda Texas Navigation District No. 1, Refunding RB, Central Power & Light Co., Project, Series A, 6.30%, 11/01/29

     1,500       1,639,815  

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A, 0.00%, 9/15/38 (d)

     10,760       4,249,770  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    21


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

    Value  

Texas (continued)

    

Leander ISD, CAB, Series D, 0.00%, 8/15/35 (d)

   $ 4,000     $ 1,870,440  

Red River Education Financing Corp., RB, Texas Christian University Project, 5.25%, 3/15/38

     760       855,707  

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien, LBJ Infrastructure Group LLC, 7.00%, 6/30/40

     2,000       2,283,460  
    

 

 

 
               14,212,839  

Utah — 0.2%

    

Utah State Charter School Finance Authority, Refunding RB, Mountainville Academy, 4.00%, 4/15/42

     400       400,724  

Vermont — 1.0%

    

University of Vermont & State Agricultural College, Refunding RB, 4.00%, 10/01/37

     800       815,736  

Vermont Student Assistance Corp., RB, Series A, 4.13%, 6/15/30

     875       894,136  
    

 

 

 
               1,709,872  

Virginia — 0.8%

    

Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A, 5.38%, 3/01/36

     490       471,478  

Virginia Small Business Financing Authority, RB, Senior Lien, Elizabeth River Crossings OpCo LLC Project, AMT, 6.00%, 1/01/37

     725       812,384  
    

 

 

 
               1,283,862  

West Virginia — 0.6%

    

County of Berkeley West Virginia Public Service Sewer District, Refunding RB, (BAM):

    

5.00%, 6/01/36

     385       424,863  

3.38%, 6/01/46

     580       520,086  
    

 

 

 
               944,949  

Wisconsin — 2.0%

    

Public Finance Authority, Refunding RB, National Gypsum Co., AMT, 4.00%, 8/01/35

     280       261,884  

Wisconsin Health & Educational Facilities Authority, Refunding RB:

    

Medical College of Wisconsin, Inc., 4.00%, 12/01/46

     600       602,364  

The Monroe Clinic, Inc., 3.00%, 2/15/35

     1,055       925,678  

The Monroe Clinic, Inc., 4.00%, 2/15/38

     770       768,907  

WPPI Energy Power Supply Systems, Refunding RB, Series A, 5.00%, 7/01/37

     665       735,651  
    

 

 

 
               3,294,484  
Total Municipal Bonds — 137.5%       226,252,167  
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
              

Colorado — 2.4%

    

Colorado Health Facilities Authority, RB, Catholic Health, Series C-7 (AGM), 5.00%, 5/01/18 (b)

     3,750       3,932,888  

Connecticut — 1.7%

    

Connecticut State Health & Educational Facility Authority, Refunding RB, Trinity Health Credit Group, 5.00%, 12/01/45

     2,611       2,866,404  

Georgia — 2.7%

    

City of Atlanta Georgia Water & Wastewater Revenue, Refunding RB, 5.00%, 11/01/43

     4,003       4,511,365  
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
  

Par  

(000)

    Value  

New Jersey — 0.9%

    

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 6/15/36 (i)

   $ 1,400     $ 1,423,875  

New York — 13.1%

    

City of New York New York, GO, Fiscal 2015, Series B, 4.00%, 8/01/32

     3,990       4,240,093  

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009, Series A:

    

5.75%, 6/15/18 (b)

     104       109,801  

5.75%, 6/15/40

     346       367,223  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution:

    

Fiscal 2013, Series CC, 5.00%, 6/15/47

     6,000       6,633,391  

Series FF-2, 5.50%, 6/15/40

     405       442,673  

Hudson Yards Infrastructure Corp., RB, Fiscal 2012, Series A, 5.75%, 2/15/47 (i)

     2,500       2,840,843  

New York Liberty Development Corp., RB, 1 World Trade Center Port Authority Consolidated Bonds, 5.25%, 12/15/43

     2,505       2,832,567  

State of New York Dormitory Authority, RB, New York University, Series A, 5.00%, 7/01/18 (b)

     2,199       2,320,549  

State of New York Thruway Authority, Refunding RB, Transportation, Personal Income Tax, Series A, 5.00%, 3/15/31

     1,560       1,773,829  
    

 

 

 
               21,560,969  

Ohio — 2.1%

    

County of Montgomery Ohio, RB, Catholic Health, Series C-1 (AGM), 5.00%, 4/28/18 (b)

     1,260       1,320,581  

Ohio Higher Educational Facility Commission, RB, Cleveland Clinic Health, Series A, 5.25%, 1/01/33

     2,000       2,060,740  
    

 

 

 
               3,381,321  

Texas — 1.1%

    

City of San Antonio Texas Public Service Board, RB, Electric & Gas Systems, Junior Lien, 5.00%, 2/01/43

     1,580       1,762,142  
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 24.0%
      39,438,964  
Total Long-Term Investments
(Cost — $253,567,656) — 161.5%
      265,691,131  
    
                  
Short-Term Securities    Shares         

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.50% (j)(k)

     187,622       187,660  
Total Short-Term Securities
(Cost — $187,641) — 0.1%
      187,660  
Total Investments (Cost — $253,755,297) — 161.6%       265,878,791  
Other Assets Less Liabilities — 0.6%       999,078  

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (13.6)%

 

    (22,442,176

VMTP Shares at Liquidation Value — (48.6)%

 

    (79,900,000
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 164,535,693  
    

 

 

 
 

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

 

Notes to Schedule of Investments

 

(a)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(b)   U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

(c)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(d)   Zero-coupon bond.

 

(e)   Non-income producing security.

 

(f)   Issuer filed for bankruptcy and/or is in default.

 

(g)   When-issued security.

 

(h)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(i)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between February 15, 2019 to June 15, 2019, is $2,411,645. See Note 4 of the Notes to Financial Statements for details.

 

(j)   During the six months ended February 28, 2017, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares Held
at August 31,
2016
    Net
Activity
    Shares Held
at February 28,
2017
    Value at
February 28,
2017
    Income     Net
Realized
Gain1
    Change in
Unrealized
Appreciation
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

    2,139,553       (1,951,931     187,622     $ 187,660     $ 6,585     $ 966     $ 19  

1    Includes net capital gain distributions.

     

     

 

(k)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts  

Contracts

Short

       Issue   Expiration     Notional
Value
   

Unrealized

Appreciation
(Depreciation)

        
  (25      5-Year U.S. Treasury Note     June 2017     $ 2,942,578     $ 3,047    
  (88      10-Year U.S. Treasury Note     June 2017     $ 10,962,875       4,911    
  (103      Long U.S. Treasury Bond     June 2017     $ 15,620,594       (68,963  
  (19      Ultra U.S. Treasury Bond     June 2017     $ 3,073,844       (20,298        
  Total              $ (81,303  
          

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Futures contracts

   Net unrealized appreciation1                           $ 7,958           $ 7,958  

Liabilities — Derivative Financial Instruments

                                                       

Futures contracts

   Net unrealized depreciation1                           $ 89,261           $ 89,261  

1    Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

     

For the six months ended February 28, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Futures contracts

                          $ 1,024,535           $ 1,024,535  

Net Change in Unrealized Appreciation (Depreciation) on:

                                                       

Futures contracts

                          $ (95,168         $ (95,168

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    23


Schedule of Investments (concluded)

  

BlackRock Municipal Bond Trust (BBK)

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:  

Average notional value of contracts — long

  $ 241,875 1 

Average notional value of contracts — short

  $ 19,797,797  

1   Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

    

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

           $ 265,691,131                 $ 265,691,131  

Short-Term Securities

  $ 187,660                            187,660  
 

 

 

 

Total

  $ 187,660        $ 265,691,131                 $ 265,878,791  
 

 

 

 
Derivative Financial Instruments2                        

Assets:

                

Interest rate contracts

  $ 7,958                          $ 7,958  

Liabilities:

                

Interest rate contracts

    (89,261                          (89,261
 

 

 

 

Total

  $ (81,303                        $ (81,303
 

 

 

 

1    See above Schedule of Investments for values in each state or political subdivision.

     

2    Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.

     

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Liabilities:

                

TOB Trust Certificates

           $ (22,403,733               $ (22,403,733

VMTP Shares at Liquidation Value

             (79,900,000                 (79,900,000
 

 

 

 

Total

           $ (102,303,733               $ (102,303,733
 

 

 

 

During the six months ended February 28, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments February 28, 2017 (Unaudited)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 1.9%

    

City of Birmingham Alabama Special Care Facilities Financing Authority, RB, Children’s Hospital (AGC) (a):

    

6.00%, 6/01/19

   $ 1,000     $ 1,109,060  

6.13%, 6/01/19

     1,000       1,111,840  

City of Selma Alabama IDB, RB, Gulf Opportunity Zone, International Paper Co. Project, Series A, 5.38%, 12/01/35

     335       371,870  
    

 

 

 
               2,592,770  

California — 14.8%

    

California Educational Facilities Authority, RB, University of Southern California, Series A, 5.25%, 10/01/18 (a)

     2,005       2,145,149  

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 6.00%, 8/15/42

     1,120       1,274,437  

City of Los Angeles California Department of Water & Power, RB, Power System, Sub-Series A-1, 5.25%, 7/01/38

     1,175       1,241,047  

County of Sacramento California, ARB, Senior Series A (AGC), 5.50%, 7/01/18 (a)

     1,400       1,487,234  

Kern Community College District, GO, Safety, Repair & Improvement, Series C, 5.50%, 11/01/33

     1,025       1,207,409  

Los Angeles Municipal Improvement Corp., Refunding LRB, Real Property, Series B (AGC), 5.50%, 4/01/19 (a)

     3,210       3,511,066  

Redondo Beach Unified School District, GO, Election of 2008, Series E, 5.50%, 8/01/21 (a)

     1,000       1,177,500  

San Diego Public Facilities Financing Authority Water, Refunding RB, Series B (AGC), 5.38%, 8/01/19 (a)

     1,125       1,242,281  

State of California Public Works Board, LRB, Various Capital Projects, Series I:

    

5.50%, 11/01/30

     1,000       1,187,470  

5.50%, 11/01/31

     1,500       1,775,115  

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 9/01/33

     505       591,244  

Township of Washington California Health Care District, GO, Election of 2004, Series B, 5.50%, 8/01/40

     380       445,288  

University of California, Refunding RB, The Regents of Medical Center, Series J, 5.25%, 5/15/38

     2,355       2,705,047  
    

 

 

 
               19,990,287  

Colorado — 3.9%

    

City & County of Denver Colorado Airport System, ARB, Sub-System, Series B, 5.25%, 11/15/32

     3,250       3,734,965  

Colorado Health Facilities Authority, RB, Hospital, NCMC, Inc. Project, Series B (AGM), 6.00%, 5/15/19 (a)

     1,425       1,578,302  
    

 

 

 
               5,313,267  

Florida — 9.4%

    

City of Jacksonville Florida, RB, Series A, 5.25%, 10/01/31

     4,525       5,110,264  

City of Jacksonville Florida, Refunding RB, Series A, 5.25%, 10/01/33

     205       235,301  

County of Miami-Dade Florida, RB, Seaport Department, Series A, 6.00%, 10/01/38

     4,215       5,024,406  

Orange County Health Facilities Authority, Refunding RB, Presbyterian Retirement Communities Project, 5.00%, 8/01/41

     1,305       1,378,237  

Reedy Creek Improvement District, GO, Series A, 5.25%, 6/01/32

     745       858,784  
    

 

 

 
               12,606,992  

Georgia — 2.2%

    

City of Atlanta Georgia Department of Aviation, Refunding GARB, Series C, 6.00%, 1/01/30

     2,500       2,913,300  
Municipal Bonds   

Par  

(000)

    Value  

Illinois — 20.8%

    

City of Chicago Illinois, Refunding GARB, O’Hare International Airport, 3rd Lien, Series C (AGC), 5.25%, 1/01/30

   $ 1,000     $ 1,087,580  

City of Chicago Illinois O’Hare International Airport, GARB, 3rd Lien:

    

Series A, 5.75%, 1/01/39

     825       928,406  

Series C, 6.50%, 1/01/21 (a)

     3,740       4,464,849  

City of Chicago Illinois Transit Authority, RB:

    

Federal Transit Administration, Section 5309, Series A (AGC), 6.00%, 12/01/18 (a)

     1,300       1,414,257  

Sales Tax Receipts, 5.25%, 12/01/36

     3,185       3,404,128  

Sales Tax Receipts, 5.25%, 12/01/40

     3,000       3,199,650  

City of Chicago Illinois Transit Authority, Refunding RB, Federal Transit Administration, Section 5309 (AGM), 5.00%, 6/01/28

     3,000       3,145,680  

City of Chicago Illinois Wastewater Transmission, RB, 2nd Lien, 5.00%, 1/01/42

     1,480       1,556,457  

County of Cook Illinois Community College District No. 508, GO, City College of Chicago:

    

5.50%, 12/01/38

     855       918,715  

5.25%, 12/01/43

     1,430       1,511,424  

Illinois Finance Authority, RB, Carle Foundation, Series A, 6.00%, 8/15/41

     1,885       2,140,681  

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     915       1,033,008  

6.00%, 6/01/28

     260       295,461  

State of Illinois, GO:

    

5.25%, 2/01/31

     610       627,074  

5.25%, 2/01/32

     1,000       1,023,250  

5.50%, 7/01/33

     1,000       1,042,810  

5.50%, 7/01/38

     270       280,808  
    

 

 

 
               28,074,238  

Indiana — 1.9%

    

Indianapolis Local Public Improvement Bond Bank, Refunding RB, Waterworks Project, Series A (AGC):

    

5.50%, 1/01/19 (a)

     470       508,672  

5.50%, 1/01/38

     1,945       2,077,668  
    

 

 

 
               2,586,340  

Kentucky — 0.7%

    

Kentucky State Property & Building Commission, Refunding RB, Project No. 93, (AGC):

    

5.25%, 2/01/19 (a)

     800       863,960  

5.25%, 2/01/27

     100       107,124  
    

 

 

 
               971,084  

Louisiana — 1.0%

    

City of New Orleans Louisiana Aviation Board, Refunding GARB, Restructuring (AGC):

    

Series A-1, 6.00%, 1/01/23

     375       405,746  

Series A-2, 6.00%, 1/01/23

     150       162,012  

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A, 5.50%, 5/15/29

     790       834,833  
    

 

 

 
               1,402,591  

Massachusetts — 1.0%

    

Massachusetts Development Finance Agency, RB, Emerson College Issue, Series A, 5.00%, 1/01/47

     695       746,367  

Massachusetts Development Finance Agency, Refunding RB, Emmanuel College Issue, Series A, 5.00%, 10/01/35

     500       533,330  
    

 

 

 
               1,279,697  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    25


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

Municipal Bonds   

Par  

(000)

    Value  

Michigan — 2.4%

    

City of Detroit Michigan Water Supply System Revenue, RB, 2nd Lien, Series B (AGM):

    

6.25%, 7/01/19 (a)

   $ 1,695     $ 1,895,383  

6.25%, 7/01/36

     5       5,397  

Royal Oak Michigan Hospital Finance Authority, Refunding RB, William Beaumont Hospital, Series V, 8.25%, 9/01/18 (a)

     1,205       1,336,092  
    

 

 

 
               3,236,872  

Minnesota — 3.0%

    

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series B (AGC):

    

6.50%, 11/15/18 (a)

     565       618,019  

6.50%, 11/15/38

     3,115       3,361,023  
    

 

 

 
               3,979,042  

Mississippi — 1.8%

    

Mississippi Development Bank, RB, Jackson Water & Sewer System Project (AGM), 6.88%, 12/01/40

     1,000       1,274,670  

Mississippi State University Educational Building Corp., Refunding RB, Mississippi State University Improvement Project, 5.25%, 8/01/38

     1,000       1,141,240  
    

 

 

 
               2,415,910  

Nevada — 5.8%

    

County of Clark Nevada, GO, Limited Tax, 5.00%, 6/01/38

     5,410       5,636,625  

County of Clark Nevada Water Reclamation District, GO, Series A, 5.25%, 7/01/19 (a)

     2,000       2,193,280  
    

 

 

 
               7,829,905  

New Jersey — 5.0%

    

New Jersey Health Care Facilities Financing Authority, RB, Virtua Health, Series A (AGC), 5.50%, 7/01/38

     1,300       1,402,310  

New Jersey Housing & Mortgage Finance Agency, RB, S/F Housing, Series CC, 5.25%, 10/01/29

     1,540       1,594,716  

New Jersey Transportation Trust Fund Authority, RB, Transportation System:

    

Series A (AGC), 5.50%, 12/15/38

     2,000       2,108,500  

Series AA, 5.50%, 6/15/39

     1,620       1,685,335  
    

 

 

 
               6,790,861  

New York — 4.5%

    

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-4 (AGC), 5.50%, 1/15/29

     2,465       2,654,509  

Metropolitan Transportation Authority, RB:

    

Series A, 5.25%, 11/15/38

     1,565       1,776,166  

Series A-1, 5.25%, 11/15/39

     1,000       1,136,510  

Westchester Tobacco Asset Securitization, Refunding RB, Sub-Series C, 4.00%, 6/01/42

     435       432,581  
    

 

 

 
               5,999,766  

Ohio — 0.4%

    

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1, 5.25%, 2/15/31

     470       537,553  

Oregon — 0.2%

    

Clackamas County School District No 12 North Clackamas, GO, Series A, 0.00%, 6/15/38 (b)(c)

     510       200,955  

Pennsylvania — 2.6%

    

Pennsylvania Turnpike Commission, RB, Series C, 5.00%, 12/01/43

     1,720       1,901,236  

Township of Bristol Pennsylvania School District, GO, 5.25%, 6/01/37

     1,500       1,656,945  
    

 

 

 
               3,558,181  
Municipal Bonds   

Par  

(000)

    Value  

South Carolina — 1.6%

    

County of Charleston South Carolina, RB, Special Source, 5.25%, 12/01/38

   $ 1,525     $ 1,750,502  

State of South Carolina Public Service Authority, Refunding RB, Series C, 5.00%, 12/01/46

     375       407,355  
    

 

 

 
               2,157,857  

Texas — 13.2%

    

Austin Community College District Public Facility Corp., RB, Educational Facilities Project, Round Rock Campus, 5.25%, 8/01/18 (a)

     1,000       1,062,130  

City of Beaumont Texas, GO, Certificates of Obligation, 5.25%, 3/01/37

     980       1,110,771  

City of Frisco Texas ISD, GO, School Building (AGC), 5.50%, 8/15/41

     3,365       3,673,806  

City of Houston Texas Combined Utility System Revenue, Refunding RB, Combined 1st Lien, Series A (AGC):

    

5.38%, 5/15/19 (a)

     945       1,034,208  

6.00%, 5/15/19 (a)

     2,465       2,731,319  

6.00%, 5/15/19 (a)

     2,100       2,326,884  

6.00%, 11/15/35

     135       149,187  

6.00%, 11/15/36

     115       127,085  

5.38%, 11/15/38

     55       59,339  

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Christus Health, Series A (AGC):

    

6.50%, 1/01/19 (a)

     205       225,164  

6.50%, 7/01/37

     795       854,689  

Lower Colorado River Authority, Refunding RB, 5.50%, 5/15/33

     1,000       1,148,660  

North Texas Tollway Authority, Refunding RB, 1st Tier:

    

(AGM), 6.00%, 1/01/43

     1,000       1,141,990  

Series K-1 (AGC), 5.75%, 1/01/19 (a)

     1,500       1,628,805  

Red River Education Financing Corp., RB, Texas Christian University Project, 5.25%, 3/15/38

     440       495,409  
    

 

 

 
               17,769,446  

Virginia — 1.1%

    

City of Lexington Virginia IDA, RB, Washington & Lee University, 5.00%, 1/01/43

     370       408,721  

Virginia Public School Authority, RB, Fluvanna County School Financing, 6.50%, 12/01/18 (a)

     1,000       1,097,480  
    

 

 

 
               1,506,201  

Washington — 1.5%

    

City of Seattle Washington Municipal Light & Power, Refunding RB, Series A, 5.25%, 2/01/36

     1,025       1,145,294  

State of Washington, GO, Various Purposes, Series B, 5.25%, 2/01/36

     795       894,049  
    

 

 

 
               2,039,343  

Wisconsin — 0.9%

    

Wisconsin Health & Educational Facilities Authority, Refunding RB, Medical College of Wisconsin, Inc., 4.00%, 12/01/46

     1,170       1,174,428  
Total Municipal Bonds — 101.6%              136,926,886  
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
              

Alabama — 0.8%

    

Auburn University, Refunding RB, Series A, 4.00%, 6/01/41

     1,000       1,028,040  
 

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
  

Par  

(000)

    Value  

California — 11.3%

    

Sacramento Area Flood Control Agency, Refunding RB, Consolidated Capital Assessment District No.2, 5.00%, 10/01/43

   $ 2,775     $ 3,152,761  

San Marcos Unified School District, GO, Election of 2010, Series A, 5.25%, 8/01/31

     10,680       12,088,371  
    

 

 

 
               15,241,132  

Connecticut — 1.1%

    

Connecticut State Health & Educational Facility Authority, Refunding RB, Trinity Health Credit Group, 5.00%, 12/01/45